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Preferences over all random variables: Incompatibility of convexity and continuity

Assa, H., Zimper, A. (2018) Preferences over all random variables: Incompatibility of convexity and continuity. Journal of Mathematical Economics, 75 . pp. 71-83. (doi:10.1016/j.jmateco.2017.12.006) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:87562)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
Official URL
http://dx.doi.org/10.1016/j.jmateco.2017.12.006

Abstract

We consider preferences over all random variables on a given nonatomic probability space. We show that non-trivial and complete preferences cannot simultaneously satisfy the two fundamental principles of convexity and continuity. As an implication of this incompatibility result there cannot exist any non-trivial continuous utility representations over all random variables that are either quasi-concave or quasi-convex. This rules out standard risk-averse (or seeking) utility representations for this large space of random variables. © 2018 Elsevier B.V.

Item Type: Article
DOI/Identification number: 10.1016/j.jmateco.2017.12.006
Uncontrolled keywords: Large spaces; Preference for diversification; Utility representations
Subjects: H Social Sciences
Divisions: Divisions > Kent Business School - Division > Department of Accounting and Finance
Depositing User: Hirbod Assa
Date Deposited: 28 Apr 2021 15:10 UTC
Last Modified: 06 Oct 2021 14:34 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/87562 (The current URI for this page, for reference purposes)
Assa, H.: https://orcid.org/0000-0002-4429-8684
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